Question No 1: A stock price is currently Rs.100. Over each of the next two six month

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Question No 1:

A stock price is currently Rs.100. Over each of the next two six month period it is expected to go up 20% or down by 20%. The risk free interest rate is 10% per annum with continuous compounding. What is the value of one year call and put option with a strike price of Rs.100?

Question No 2:

What is the price of a European call option on a non-dividend-paying stock when the stock price is $52, the strike price is $50, the risk-free interest rate is 12% per annum, the volatility is 30% per annum, and the time to maturity is 3 months?

Use Black Scholes model.

Question No 3:

Compare black and Scholes and Binomial Method and state that which method beneficial for which type of stocks. Justify your answer.

Posted Date: May 19, 2024 04:00 AM

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Question No 1: A stock price is currently Rs.100. Over each of the next two six month

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